Bounds for the Ruin Probability of a Discrete-Time Risk Process
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- scientific article; zbMATH DE number 1516530
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Cites work
- Aspects of risk theory
- Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming
- scientific article; zbMATH DE number 1325008 (Why is no real title available?)
- scientific article; zbMATH DE number 1122116 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
- Lundberg approximations for compound distributions with insurance applications
- Markov control processes with randomized discounted cost
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
- Ruin probabilities with a Markov chain interest model
- Ruin probabilities with dependent rates of interest
Cited in
(17)- Risk- and value-based management for non-life insurers under solvency constraints
- Inequalities for the ruin probability in a controlled discrete-time risk process
- Lundberg-type bounds and asymptotics for the moments of the time to ruin
- Moment and polynomial bounds for ruin-related quantities in risk theory
- Sharp approximations of ruin probabilities in the discrete time models
- scientific article; zbMATH DE number 1516530 (Why is no real title available?)
- Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
- Ruin probabilities in a finite-horizon risk model with investment and reinsurance
- Impact of the stability bound choice on the approximation of ruin probabilities
- scientific article; zbMATH DE number 7529514 (Why is no real title available?)
- Discrete Lundberg-type bounds with actuarial applications
- Ruin problems for the discrete time model of general reinsurance with dependent rates of interest
- Ruin probability in a generalised risk process under rates of interest with homogenous Markov chains
- Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions
- Ruin probabilities as recurrence sequences in a discrete-time risk process
- Numerical methods applied to ruin probability in an Erlang(2) risk process with Weibull loss distribution
- Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin
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